Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 2 2
Score -0.61 -3.78 -4.32
Market Cap (Millions USD) 190.73 184.81 196.23
Predicted Beta 0.2 0.19 0.2
Idiosyncratic Volatility 1.43 1.11 1.76

Annualized return and volatility

FEU
Annualized Return 0.0502
Annualized Std Dev 0.2176
Annualized Sharpe (Rf=0%) 0.2306

Row

Daily Return Statistics

FEU
Observations 4399.0000
NAs 715.0000
Minimum -0.1007
Quartile 1 -0.0053
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0067
Maximum 0.1542
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0137
Skewness -0.1920
Kurtosis 10.3288

Downside Risk

FEU
Semi Deviation 0.0100
Gain Deviation 0.0097
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0146
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.6245
Historical VaR (95%) -0.0210
Historical ES (95%) -0.0343
Modified VaR (95%) -0.0201
Modified ES (95%) -0.0315
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2018-01-19 -0.6245 2617 348 2269
2018-01-29 2018-12-24 NA -0.2189 490 233 NA
2002-11-22 2003-03-12 2003-05-07 -0.2015 117 78 39
2006-05-10 2006-06-13 2006-09-01 -0.1263 82 24 58
2007-07-13 2007-08-16 2007-10-01 -0.1257 57 25 32

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec FEU
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA 1.7 0.0 0 1.7
2003 0.0 0.0 2.2 -1.3 0.0 0.1 -1.4 0.0 1.1 0.0 1.6 0 2.3
2004 0.0 1.1 0.8 0.0 -0.7 -1.6 0.0 0.1 0.7 0.8 1.7 0 2.9
2005 1.1 0.4 -1.5 0.0 1.3 0.0 1.2 1.8 0.0 0.3 1.3 0 6.2
2006 -0.1 0.7 0.0 0.0 0.6 0.0 -0.9 0.6 0.0 -0.4 -0.9 0 -0.4
2007 0.8 -1.4 0.0 -0.1 0.6 0.0 -0.3 0.0 1.0 -2.8 0.0 0 -2.3
2008 1.7 0.0 3.6 1.0 0.0 -1.1 -0.1 0.0 0.2 0.0 -7.2 0 -2.3
2009 0.0 0.0 0.9 1.9 2.9 1.9 0.0 -2.9 -2.8 0.0 2.7 0 4.5
2010 2.0 0.5 1.6 0.0 -0.8 1.9 0.0 4.1 -0.7 0.0 3.2 0 12.4
2011 2.2 -1.5 0.2 0.0 -2.1 0.6 -2.8 -0.8 0.0 -3.9 0.1 0 -7.9
2012 1.9 0.9 0.0 1.9 -1.8 0.0 0.5 0.0 0.9 1.2 0.0 0 5.5
2013 0.8 -0.6 -0.4 -0.5 0.0 0.8 0.9 0.0 0.5 -0.6 0.0 0 0.8
2014 0.0 0.0 0.5 0.3 0.0 0.8 -0.8 0.0 -1.0 0.0 -0.2 0 -0.5
2015 0.0 0.0 0.9 0.4 -0.9 0.3 0.0 -2.9 -0.1 0.0 0.8 0 -1.5
2016 -0.1 2.6 -1.0 0.0 -0.1 -0.1 -1.1 0.2 0.0 -0.5 -0.4 0 -0.5
2017 0.4 1.1 0.0 0.5 0.3 0.0 0.4 0.2 0.0 -0.1 -0.2 0 2.7
2018 -0.4 -1.1 0.0 -0.6 0.9 0.0 -0.8 0.0 -0.1 1.5 0.0 0 -0.7
2019 0.2 0.5 1.0 -0.8 0.0 0.2 -0.1 0.0 0.0 0.0 0.0 0 1.0

Row

Rolling Performance Chart

Snail Trail Chart